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단행본

Market liquidity : asset pricing, risk, and crises

발행사항
Cambridge: Cambridge University Press, 2013
형태사항
xiv, 277p.: ill. ; 24cm
서지주기
Includes bibliographical references and index
소장정보
위치등록번호청구기호 / 출력상태반납예정일
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자료실E205259대출가능-
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책 소개
This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance. Illiquidity means incurring a high transaction cost, which includes a large price impact when trading and facing a long time to unload a large position. Liquidity risk is higher if a security becomes more illiquid when it needs to be traded in the future, which will raise trading cost. The book shows that higher illiquidity and greater liquidity risk reduce securities prices and raise the expected return that investors require as compensation. Aggregate market liquidity is linked to funding liquidity, which affects the provision of liquidity services. When these become constrained, there is a liquidity crisis which leads to downward price and liquidity spiral. Overall, the volume demonstrates the important role of liquidity in asset pricing. This book is about the pricing of liquidity in securities markets. The book then explains how liquidity crises create downward price and liquidity spirals. The analysis has implications for traders, risk managers, performance evaluation, economic policy, regulation of financial markets, management of liquidity crises and academic research.

목차

Introduction Yakov Amihud, Haim Mendelson and Lasse Heje Pedersen; Part I. Liquidity: The Effect of Trading Costs on Securities Prices and Returns: 1. Asset pricing and the bid-ask spread Yakov Amihud and Haim Mendelson; 2. Liquidity, maturity, and the yield on US Treasury securities Yakov Amihud and Haim Mendelson; 3. Market microstructure and securities values: evidence from the Tel Aviv stock exchange Yakov Amihud, Haim Mendelson and Beni Lauterbach; Part II. Liquidity Risk: 4. Illiquidity and stock returns: cross-section and time-series effects Yakov Amihud; 5. Asset pricing with liquidity risk Viral V. Acharya and Lasse Heje Pedersen; Part III. Liquidity Crises: 6. Market liquidity and funding liquidity Markus Brunnermeier and Lasse Heje Pedersen; 7. Liquidity and the 1987 stock market crash Yakov Amihud, Haim Mendelson and Robert A. Wood; 8. Slow moving capital Mark Mitchell, Lasse Heje Pedersen and Todd Pulvino.